Skewed bivariate models and nonparametric estimation for the CTE risk measure (Q2518541): Difference between revisions
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scientific article
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| English | Skewed bivariate models and nonparametric estimation for the CTE risk measure |
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Skewed bivariate models and nonparametric estimation for the CTE risk measure (English)
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16 January 2009
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The paper illustrates a numerical method to estimate the Conditional Tail Expectation (CTE) for the sum of two risks. The authors first fit several parametric joint distributions to a bivariate data set consisting of motor insurance claims. Then, they estimate the CTE for the sum of the components. A different nonparametric estimation of the joint distribution function is obtained using a symmetric kernel density estimation method. Numerical issues are also discussed.
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conditional tail expectation
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bivariate distributions
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kernel estimation
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